PBP Options History — June 2009 In June 2009, PBP traded between $18.16 and $18.76. ATM implied volatility averaged 79.8%. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 67.5% (HV 20d: 12.3%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2009-06-01 : Highest Volume — 9 contracts2009-06-05 : Largest IV spike — 197.3% change2009-06-02 : Largest Expected Move — 44.6%Monthly Statistics Metric Avg Min Max Open Close Price $18.55 $18.16 $18.76 $18.65 $18.55 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 79.8% 24.5% 189.6% 54.8% 47.3% Expected Move 19.6% 7.0% 44.6% 15.7% 13.5% HV 20d 12.3% 11.1% 13.3% 11.8% 11.1% HV 60d 12.7% 12.2% 13.2% 13.2% 12.2% Term Structure -26.4% -55.5% 41.1% -18.2% -28.9% VWIV 47.6% 47.6% 47.6% 47.6% 47.6% Bid-Ask Spread % 173.81 110.69 189.67 146.45 176.25 Gamma HHI 0.56 0.35 0.81 0.81 0.68 Net GEX -571 -1.5K 266 -834 -1.1K Net DEX 11.5K -2.2K 29.2K 20.3K 20.3K Net VEX -308 -367 -248 -299 -248 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.409 0 9 9 0 Total OI 97.727 92 101 92 92
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-06-01 $18.65 $0.00 54.8% 15.7% 11.8% 0.0% 47.6% 0.0% -18.2% -834 20.3K -299 0.00 146.45 N/A N/A 9 0 31 61 2009-06-02 $18.55 $17.50 155.4% 44.6% 11.9% 0.0% 0.0% 0.0% -52.3% -381 5.9K -367 0.00 189.67 N/A N/A 0 0 40 61 2009-06-03 $18.47 $17.50 51.3% 14.7% 12.1% 0.0% 0.0% 0.0% -20.3% -527 14.5K -326 0.00 171.07 N/A N/A 0 0 40 61 2009-06-04 $18.55 $17.50 45.5% 13.0% 12.1% 0.0% 0.0% 0.0% -14.8% -217 11.1K -286 0.00 110.69 N/A N/A 0 0 40 61 2009-06-05 $18.57 $17.50 135.2% 25.9% 12.1% 0.0% 0.0% 0.0% -38.6% -388 7.0K -358 0.00 188.66 N/A N/A 0 0 40 61 2009-06-08 $18.76 $17.50 149.0% 27.8% 12.4% 0.0% 0.0% 0.0% -49.2% 89 -390 -351 0.00 189.04 N/A N/A 0 0 40 61 2009-06-09 $18.74 $17.50 175.4% 30.3% 12.4% 0.0% 0.0% 0.0% -41.3% 95 -271 -349 0.00 188.44 N/A N/A 0 0 40 61 2009-06-10 $18.54 $17.50 189.6% 30.9% 13.3% 0.0% 0.0% 0.0% -43.7% 266 2.3K -346 0.00 189.67 N/A N/A 0 0 40 61 2009-06-11 $18.65 $17.50 84.2% 24.1% 13.3% 0.0% 0.0% 0.0% -44.1% -427 7.7K -341 0.00 188.44 N/A N/A 0 0 40 61 2009-06-12 $18.64 $17.50 112.8% 32.3% 13.0% 0.0% 0.0% 0.0% -46.4% 194 1.1K -342 0.00 187.50 N/A N/A 0 0 40 61 2009-06-15 $18.64 $17.50 49.1% 14.1% 12.6% 0.0% 0.0% 0.0% -16.2% -442 9.6K -317 0.00 184.36 N/A N/A 0 0 40 61 2009-06-16 $18.59 $17.50 38.5% 11.0% 11.1% 0.0% 0.0% 0.0% -24.7% -567 7.6K -289 0.00 173.23 N/A N/A 0 0 40 61 2009-06-17 $18.74 $17.50 50.7% 14.5% 11.3% 0.0% 0.0% 0.0% -26.3% -96 4.4K -328 0.00 181.81 N/A N/A 0 0 40 61 2009-06-18 $18.62 $17.50 56.0% 16.1% 11.6% 0.0% 0.0% 0.0% -15.9% -732 4.3K -307 0.00 184.62 N/A N/A 0 0 40 61 2009-06-19 $18.49 $17.50 123.1% 35.3% 11.9% 0.0% 0.0% 0.0% -55.5% -404 -2.2K -323 0.00 188.66 N/A N/A 0 0 40 61 2009-06-22 $18.18 $17.50 44.2% 12.7% 13.0% 0.0% 0.0% 0.0% -21.1% -1.1K 26.9K -275 0.00 182.41 N/A N/A 0 0 31 61 2009-06-23 $18.16 $17.50 24.5% 7.0% 12.9% 0.0% 0.0% 0.0% -6.2% -1.5K 29.2K -255 0.00 139.61 N/A N/A 0 0 31 61 2009-06-24 $18.32 $17.50 46.9% 13.5% 13.2% 0.0% 0.0% 0.0% -21.5% -1.1K 24.3K -270 0.00 181.48 N/A N/A 0 0 31 61 2009-06-25 $18.44 $17.50 33.9% 9.7% 13.1% 0.0% 0.0% 0.0% -9.0% -1.1K 22.1K -267 0.00 146.99 N/A N/A 0 0 31 61 2009-06-26 $18.55 $17.50 40.1% 11.5% 13.1% 0.0% 0.0% 0.0% 41.1% -1.1K 19.6K -267 0.00 162.22 N/A N/A 0 0 31 61 2009-06-29 $18.63 $17.50 47.2% 13.5% 11.2% 0.0% 0.0% 0.0% -28.1% -1.0K 18.0K -261 0.00 172.43 N/A N/A 0 0 31 61 2009-06-30 $18.55 $17.50 47.3% 13.5% 11.1% 0.0% 0.0% 0.0% -28.9% -1.1K 20.3K -248 0.00 176.25 N/A N/A 0 0 31 61
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